On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks

• Date: 2005
• Main Authors: Kadankov, V. F., Kadankova, T. V., Каданков, В. Ф., Каданкова, Т. В.
• Format: Article
• Language: Russian; English
• Published: Institute of Mathematics, NAS of Ukraine 2005
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/3691
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

For a homogeneous process with independent increments, we determine the integral transforms of the joint distribution of the first-exit time from an interval and the value of a jump of a process over the boundary at exit time and the joint distribution of the supremum, infimum, and value of the proc...